Asset Backed Securities Quant

As an Asset-Backed Securities Quantitative Analyst, you will build the analytics models that power Citi's asset-backed securities financing and securitization business. Working closely with bankers, structurers, and technology teams, you will design regulatory capital models for ABS facilities backed by collateral such as auto loans and personal loans, including Basel and CCAR models. This role gives you the opportunity to apply advanced mathematical and programming skills to decisions that directly shape the trading business.

Responsibilities

• Build and maintain analytics libraries that support credit analysis for asset-backed securities.

• Develop and implement quantitative models and analytical tools for Citi's ABS Financing and Securitization business using Python, SQL, and statistical and probability-based methods.

• Design Basel and CCAR capital models for asset-backed facilities backed by loans such as auto loans and personal loans.

• Partner with traders, structurers, and technology professionals to turn market needs into working quantitative solutions especially with data analysis on large data sets.

• Work alongside Market and Credit Risk, Audit, Model Risk, and Finance teams to maintain strong governance and control standards.

Required Qualifications & Skills

• 1 to 3 years of experience in quantitative modeling, analytics, or a related role, ideally within financial services.

• Proficiency in Python, SQL, and C++ for building and testing quantitative models.

• Working knowledge of git, and experience with Github copilot and other AI tools.

• Working knowledge of statistics, probability theory, and numerical methods used to assess risk in complex financial instruments or with large data sets of past history.

• Familiarity with market data and its application to risk analysis.

• Background in investments and quantitative methods relevant to structured and asset-backed products.

• Clear, concise written and verbal communication skills for engaging with banking, risk, and control teams.

• Postgraduate degree or equivalent practical experience in a quantitative field such as mathematics, statistics, financial engineering, or a related discipline.

What We Offer

Joining Citi's ABS Financing and Securitization team gives you the chance to apply advanced quantitative skills to real trading and risk decisions while building your career within a global markets business.

• Work in a hybrid model with three days in the office and two days working remotely each week.

• Collaborate with quantitative, trading, and risk professionals across Citi's global markets network.

• Access ongoing learning and development opportunities to deepen your quantitative and programming expertise.

• Take on complex, high-impact modeling challenges that directly influence risk and capital decisions.

• Benefit from programs that support your financial wellbeing and work-life balance.

• Receive support for family and personal wellbeing through Citi's employee benefit programs.

Apply now to build the quantitative models that contribute to Citi's asset-backed securities business.

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In addition to salary, Citi’s offerings may also include, for eligible employees, discretionary and formulaic incentive and retention awards. Citi offers competitive employee benefits, including: medical, dental & vision coverage; 401(k); life, accident, and disability insurance; and wellness programs. Citi also offers paid time off packages, including planned time off (vacation), unplanned time off (sick leave), and paid holidays. For additional information regarding Citi employee benefits, please visit citibenefits.com. Available offerings may vary by jurisdiction, job level, and date of hire.

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Automated Processing and AI

We use automated processing, including artificial intelligence, for our legitimate business interests (or our reasonable and appropriate business purposes) to identify and align the candidate's skills and abilities with a specific job opening. Additionally, if you so choose, or consent, we can match your skills and abilities to other suitable roles at Citi.

Importantly, all our hiring processes and decisions, including determining your suitability for a role, are conducted, checked, and decided by individuals. Our automated processing and AI do not involve relying on automatic or autonomous decision-making. Please refer to any Jurisdictional Considerations, with specific provisions for your country (where relevant) for further details.

Illinois residents – AI Notice and Right

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Citi is an equal opportunity employer, and qualified candidates will receive consideration without regard to their race, color, religion, sex, sexual orientation, gender identity, national origin, disability, status as a protected veteran, or any other characteristic protected by law.

If you are a person with a disability and need a reasonable accommodation to use our search tools and/or apply for a career opportunity review Accessibility at Citi.

View Citi’s EEO Policy Statement and the Know Your Rights poster.